Abstract: An inventive computerized investment method and process is disclosed that comprises the creation, calculation, and use of a “Roll Yield” Index, which is a function of a futures contract “rolling” methodology that may vary depending on the underlying commodity, and a systematic rebalancing mechanism for portfolio management of long/short commodity futures index products. Both the Roll Yield Index and the long/short portfolios have the same investment objective to deliver the spread, or difference, between two or more futures contracts on the same underlying commodity with different expiration dates.

Abstract: An investment method and process used to create investment indexes that measure the difference between market segments, which such market segments may be in unrelated investment categories or within the same asset class, while simultaneously managing long/short portfolios that return the measured difference in the form of investible index products is disclosed. The three primary steps of the inventive investment method and process are: (1) to identify the desired risk factor for isolation for purposes of hedging existing risk, diversifying risk, or tactical investment in risk; (2) to create and calculate a Factor Index and develop underlying algorithms for intraday and end-of-period benchmarking; and (3) to design a Factor Index Product and implement a Factor Portfolio involving the isolation of the desired risk factor by establishing and maintaining a long exposure to one (or more) market segment(s) and a short exposure to one (or more) market segment(s).

Abstract: A data processing system and method is disclosed for implementing and control of a financial instrument which is issued for a limited period of time. The instrument is based on an underlying basket of stocks optimally selected to track an established capital market and its price also reflects accrued investment income and maintenance expenses. The data processing system receives input from the capital market and periodically evaluates the performance of the financial instrument, reporting its price to customers. Also disclosed is a data processing system for administering an investment group of such instruments designed to track the performance of several domestic and foreign markets, estimate their return and provide current price information to customers.

Abstract: A data processing system and method is disclosed for implementing and control of a financial instrument which is issued for a limited period of time. The instrument is based on an underlying basket of stocks optimally selected to track an established capital market and its price also reflects accrued investment income and maintenance expenses. The data processing system receives input from the capital market and periodically evaluates the performance of the financial instrument, reporting its price to customers. Also disclosed is a data processing system for administering an investment group of such instruments designed to track the performance of several domestic and foreign markets, estimate their return and provide current price information to customers.

Abstract: A data processing system and method is disclosed for implementing and control of a financial debt instrument which is issued for a limited period of time and is traded as a listed security. The debt instrument is based on an underlying basket of stocks optimally selected to track an established capital market and its price also reflects accrued investment income and maintenance expenses. The data processing system receives input from the capital market and periodically evaluates the performance of the financial debt instrument, reporting its price to customers. Also disclosed is a data processing system for administering an investment group of such debt instruments designed to track the performance of several domestic and foreign markets, estimate their return and provide current price information to customers.